Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 4 4
Score 4.16 4.25 4.58
Market Cap (Millions USD) 14342.41 13988.98 14140.04
Predicted Beta 1.51 1.52 1.5
Idiosyncratic Volatility 2.21 2.91 3.21

Annualized return and volatility

XLY
Annualized Return 0.0856
Annualized Std Dev 0.2157
Annualized Sharpe (Rf=0%) 0.3970

Row

Daily Return Statistics

XLY
Observations 5112.0000
NAs 2.0000
Minimum -0.1162
Quartile 1 -0.0057
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0070
Maximum 0.0978
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0136
Skewness -0.1011
Kurtosis 6.0287

Downside Risk

XLY
Semi Deviation 0.0097
Gain Deviation 0.0097
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0143
Downside Deviation (Rf=0%) 0.0095
Downside Deviation (0%) 0.0095
Maximum Drawdown 0.5905
Historical VaR (95%) -0.0210
Historical ES (95%) -0.0319
Modified VaR (95%) -0.0207
Modified ES (95%) -0.0339
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-01-27 -0.5905 938 455 483
2000-04-12 2001-09-20 2002-03-15 -0.3154 489 366 123
2002-03-20 2003-03-12 2003-11-07 -0.3153 424 253 171
2018-09-21 2018-12-24 2019-04-04 -0.2137 136 66 70
2000-01-10 2000-02-24 2000-04-10 -0.2086 65 32 33

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec XLY
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 3.6 -1.2 0.0 3.1 0.7 0.0 1.4 2.0 0.0 0.8 0.1 0.0 11.1
2001 -0.1 -1.6 0.0 1.1 -0.4 0.0 -0.1 0.0 -0.1 1.9 0.0 0.0 0.6
2002 -1.0 0.9 -1.9 0.5 0.0 -3.0 -3.1 0.0 2.8 1.5 0.0 0.0 -3.3
2003 0.0 0.0 1.2 -0.9 0.0 -0.2 -0.1 0.0 2.8 0.0 1.0 0.0 3.7
2004 0.0 0.6 0.4 0.0 -0.1 -0.6 0.0 0.3 1.3 0.4 1.6 0.0 4.0
2005 0.1 1.1 -0.8 0.0 0.4 0.2 0.0 -1.0 0.0 0.1 1.1 0.0 1.3
2006 0.3 0.7 0.0 -0.6 1.6 0.0 -0.9 0.8 0.0 -0.8 -0.1 0.0 1.0
2007 0.4 -0.6 0.0 0.3 0.6 0.0 0.1 0.0 1.3 -2.5 0.0 0.0 -0.5
2008 0.9 0.0 4.5 5.8 0.0 -1.3 -1.0 0.0 0.0 0.0 -8.7 0.0 -0.5
2009 0.0 0.0 1.8 -0.5 4.8 0.6 0.0 -1.8 -2.2 0.0 1.6 0.0 4.3
2010 1.3 1.6 0.7 0.0 -1.5 0.8 0.0 3.4 0.1 -0.2 2.1 0.0 8.6
2011 1.2 -1.9 0.6 0.0 -2.3 2.0 -0.5 -1.2 0.0 -2.2 0.1 0.0 -4.2
2012 0.3 0.8 0.0 0.7 -3.2 0.0 -0.4 0.0 -0.1 1.2 0.0 0.0 -0.7
2013 0.6 0.2 -0.8 -0.5 0.0 0.7 1.5 0.0 0.8 0.2 0.0 0.0 2.8
2014 0.0 0.0 1.4 0.4 0.0 1.1 -0.4 0.0 -1.3 0.0 -1.1 0.0 0.0
2015 0.0 0.0 -0.4 1.4 0.3 1.1 0.0 -2.5 0.7 0.0 1.0 0.0 1.6
2016 0.6 2.6 0.4 0.0 -0.1 1.0 0.2 0.2 0.0 -0.7 0.0 0.0 4.4
2017 -0.2 1.1 0.0 0.1 0.9 0.0 0.2 0.5 0.0 0.0 0.0 0.0 2.7
2018 -1.1 -1.1 0.0 0.1 0.7 0.0 -0.5 0.0 -0.3 2.0 0.0 0.0 -0.1
2019 -1.5 0.8 1.1 -1.2 0.0 0.9 -1.4 0.0 -0.8 0.7 0.0 0.2 -1.2

Row

Rolling Performance Chart

Snail Trail Chart